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Over Optimization/Curve Fitting?


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Over Optimization/Curve Fitting?

  #11 (permalink)
 
WoodyFox's Avatar
 WoodyFox 
Columbus, Ohio
 
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kevinkdog View Post
I'll admit, your response has me baffled, definitely over my head.

I'm guessing though that your approach works for you, and that is the awesome part!


Maybe not the best at explaining LOL...but yes it works well, and really not all that difficult?

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  #12 (permalink)
 kevinkdog   is a Vendor
 
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WoodyFox View Post
Maybe not the best at explaining LOL...but yes it works well, and really not all that difficult?

"non-correlated conditions with a linear operator"
"bending out of usefulness"
"keeps the strategy from decaying as fast over time"
"wrapping the market around my strategy, not wrapping the strategy around the market"
"most traders will not take their strategies that far which results in more time for decay."

Any of these you care to expand on would be appreciated. But no worries if not, you understand the terms and that is what is important.

Maybe it is a water thing - your drinking water is probably from the Olentangy River, and mine is from Lake Erie! LOL.

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  #13 (permalink)
 
WoodyFox's Avatar
 WoodyFox 
Columbus, Ohio
 
Experience: Intermediate
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kevinkdog View Post
"non-correlated conditions with a linear operator"
"bending out of usefulness"
"keeps the strategy from decaying as fast over time"
"wrapping the market around my strategy, not wrapping the strategy around the market"
"most traders will not take their strategies that far which results in more time for decay."

Any of these you care to expand on would be appreciated. But no worries if not, you understand the terms and that is what is important.

Maybe it is a water thing - your drinking water is probably from the Olentangy River, and mine is from Lake Erie! LOL.

Yes that is what's important, so Thank you.
Knowing you just dissected my 4 sentence paragraph into 5 sentences. LOL. I don't want my next answer to get logarithmic? So I will pass.

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  #14 (permalink)
 kevinkdog   is a Vendor
 
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WoodyFox View Post
Yes that is what's important, so Thank you.
Knowing you just dissected my 4 sentence paragraph into 5 sentences. LOL. I don't want my next answer to get logarithmic? So I will pass.


I am sorry I tried to understand your confusing reply in a thread that has been dead for 18 months. I will not make that mistake again.

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  #15 (permalink)
 
WoodyFox's Avatar
 WoodyFox 
Columbus, Ohio
 
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Trading: Futures
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kevinkdog View Post
I am sorry I tried to understand your confusing reply in a thread that has been dead for 18 months. I will not make that mistake again.

No hard feelings. Yes old post but still interesting. I too know better now.
Thanks,

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  #16 (permalink)
fxFlux
London United kingdom
 
Posts: 11 since May 2018
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Why would you optimise over 2018 and test over 2017? shouldn't it be optimise over 2018 test over 2019.

I have been a victim of over optimization in the past. What I do now is that I check that the strategy is profitable over many many sets of the input parameters to confirm that the strategy is not only profitable at such a finely tuned set of criteria but is generally profitable over all, next I select the set of input parameters which produces the minimum amount of drawdown and a healthy profit factor. I forward test over an equal duration to the optimisation period. I repeat this as a sliding 1 year or 2 year window to check it is continuously profitable.

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